Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0046
Annualized Std Dev 0.1816
Annualized Sharpe (Rf=0%) -0.0251

Row

Daily Return Statistics

Close
Observations 5571.0000
NAs 1.0000
Minimum -0.1295
Quartile 1 -0.0040
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0047
Maximum 0.2361
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0114
Skewness 0.7958
Kurtosis 48.3108

Downside Risk

Close
Semi Deviation 0.0082
Gain Deviation 0.0091
Loss Deviation 0.0097
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0082
Downside Deviation (0%) 0.0082
Maximum Drawdown 0.6255
Historical VaR (95%) -0.0153
Historical ES (95%) -0.0277
Modified VaR (95%) -0.0049
Modified ES (95%) -0.0049
From Trough To Depth Length To Trough Recovery
2005-03-07 2008-12-16 NA -0.6255 4039 954 NA
1999-04-14 2000-05-25 2003-06-05 -0.3292 1041 284 757
2004-01-14 2004-05-10 2005-02-04 -0.1674 268 81 187
2003-06-18 2003-08-04 2003-12-17 -0.1146 128 33 95
2005-02-14 2005-02-22 2005-03-04 -0.0173 14 6 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.4 0.4 0.4 0 0 0.5 0.5 -0.9 -1.5 1.6 2.7 2.2 5.5
2000 -2.1 -0.5 1.7 1.1 -1.2 1.2 -0.5 -0.5 2.8 0 0 0.5 2.3
2001 -0.3 -0.4 1.2 -0.8 0.4 -0.6 1.7 0.6 3.7 0.6 0.6 -0.2 6.6
2002 1.6 -1 0.2 0.4 0.1 -0.1 0.2 0.6 -0.3 0.4 0.4 0.6 3
2003 0.4 0.8 -0.7 -0.6 0.7 -0.3 0.4 0 0.6 1.1 -0.7 0 1.6
2004 0.5 -0.2 0.6 0.4 -0.7 0.5 0.7 0.9 0.2 0.4 0.3 0.7 4.3
2005 0.2 0.2 0.9 0.8 0.4 -3.1 0.3 0.4 0.3 0 -0.1 -0.3 0
2006 -0.2 0.3 0.2 -0.1 0.3 0.4 0.1 -2.7 0 0.1 0.5 0.4 -0.8
2007 0.3 0.2 -0.2 0.3 0.3 0.7 -0.1 0.9 0 -0.2 1 0.1 3.2
2008 0.1 -2.8 0.7 0.1 0 1 0.9 -0.5 3.8 -2.9 0.8 6.4 7.5
2009 1.3 0.8 1.6 1.1 -2.2 2.6 1 1.5 -1.1 -1.6 0.7 -0.3 5.3
2010 0.8 0.5 -0.2 -0.1 -0.7 0.3 -0.3 -0.2 0.4 0 -0.8 1.5 1.2
2011 0.4 1.4 0.4 1.5 -0.9 0.8 2.8 0.4 0 0.2 -0.2 1.4 8.5
2012 -1.1 0.5 0.2 -0.3 0.3 1.2 0.4 0.6 1.1 0 0.4 -1 2.3
2013 -0.1 0.2 -0.1 0 -0.1 1.1 -0.2 -1.1 -0.8 -1.1 0 0 -2.1
2014 0.6 0.1 0 0.8 0.9 0.5 0.5 -0.5 0.9 0 0.9 0.6 5.4
2015 0.3 0.7 0.1 -0.2 -0.2 0.2 -0.2 0.9 0.8 0.2 0.4 0.4 3.4
2016 0 0.6 -0.2 -0.1 1 0.7 0.7 -0.1 0.1 -0.8 -1.1 1.2 2.2
2017 -0.1 -1.1 -0.6 0.6 -0.2 0.3 0.5 0.1 0 -0.5 0.1 0.2 -0.6
2018 -0.3 0 1.2 0.6 0.3 -1 0.2 0 0 0.5 0.5 1.6 3.6
2019 0.6 -0.2 -0.2 0.5 0.3 -0.6 0.6 0 0.2 -1.4 0.3 -0.9 -0.8
2020 -0.2 -1.4 -2.8 0.5 0.6 0.2 0.2 0.6 -0.1 0.9 0.5 0.2 -1
2021 0.1 0.2 0.7 NA NA NA NA NA NA NA NA NA 1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-27  15   SPY    125. -0.0117  -0.0126  NA            NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-28  15.1 SPY    127.  0.0168   0.0313  NA            NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-29  15.1 SPY    128.  0.0076   0.0416  NA            NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-02-01  15   SPY    127. -0.0059   0.025   NA            NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-02-02  15.1 SPY    126. -0.0062   0.0005  NA            NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-02-03  15.1 SPY    127.  0.0102   0.0226   0.0356       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart